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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Value Line Index as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 33 33 33 33 33 33 33 33 33 33
Closed Higher   19 22 24 19 23 16 16 18 16 21 23
Exceeded High   18 20 22 17 19 13 15 15 14 17 21
Scenario Percentage   95% 91% 92% 89% 83% 81% 94% 83% 88% 81% 91%
Avg Max Increase   6.15% 5.54% 7.20% 6.64% 5.39% 6.93% 5.26% 3.69% 5.94% 7.15% 3.31%
Max Increase   15.44% 17.48% 33.19% 16.79% 13.56% 20.82% 15.64% 11.05% 15.24% 16.53% 8.68%
Avg Days To Max Increase   19 18 19 15 19 18 17 16 19 22 19
Avg Max Decline   -0.60% -1.31% -1.86% -1.08% -1.33% -1.41% -2.12% -1.52% -2.53% -1.20% -1.00%
Max Decline   -3.00% -5.34% -7.92% -3.64% -6.08% -7.10% -7.87% -3.68% -10.95% -5.52% -4.58%
Avg Days to Max Decline   8 6 10 5 10 5 13 10 5 9 4
2016 Contract Condition     Yes Yes Yes Yes   Yes Yes Yes   Yes
Action     Yes Yes Yes Yes   Yes Yes Yes   Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 33 33 33 33 33 33 33 33 33 33
Closed Lower   13 10 9 14 10 16 17 15 16 12 10
Penetrated Low   8 6 7 7 8 10 13 10 11 6 5
Scenario Percentage   62% 60% 78% 50% 80% 63% 76% 67% 69% 50% 50%
Avg Max Decline   7.63% 7.89% 4.41% 5.78% 8.68% 13.16% 10.45% 8.94% 12.53% 7.43% 2.35%
Max Decline   23.24% 12.75% 8.19% 14.21% 27.57% 21.86% 23.80% 20.76% 46.76% 32.20% 3.99%
Avg Days To Max Decline   13 13 13 18 18 17 18 17 18 13 11
Avg Max Increase   -1.70% -1.09% -0.99% -1.57% -1.44% -1.28% -1.41% -2.92% -1.36% -1.93% -1.54%
Max Increase   -7.08% -3.08% -2.71% -2.37% -3.34% -3.27% -6.71% -10.04% -3.49% -3.72% -7.28%
Avg Days to Max Increase   3 7 6 13 12 7 6 13 9 9 4
2016 Contract Condition   Yes         Yes       Yes  
Action   No         No       Yes  
High 4582.70 4312.30 4211.50 4558.60 4726.60 4682.00 4801.40 4917.00 5002.70 5009.00 4974.70 5231.10
Low 4240.20 3711.10 3764.30 4171.10 4423.20 4440.20 4399.90 4575.30 4809.80 4805.10 4782.00 4695.00
Close/Last 4358.70 4075.90 4172.90 4540.20 4635.00 4669.40 4661.30 4904.10 4934.20 4963.30 4803.30 5172.40

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